Corporate credit ratings, banking fragility, and sovereign credit risk
No Thumbnail Available
Date
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
Description
<p>Using corporate credit rating data and a new metric of the expected joint loss of the banking sector conditional on a systemic event (JLoss), this study documents a positive association between corporate credit risk and domestic banking fragility. It also documents that the relationship between corporate and sovereign credit ratings amplifies during periods of banking distress.</p>
Keywords
Banking fragility, Corporate credit risk, Credit ratings, Sovereign risk